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st: xtabond2 gmmstyle vs ivstyle option
I have a question about the gmmstyle and ivstyle options in xtabond2.
Suppose I want to estimate a model with a set of independent
variables and a set of additional instruments (not included as
independent variables). Would this command be correct?
xtabond2 depvar lagdepvar indep1 indep2 indep3 indep4, gmm(lagdepvar
indep1 indep2 indep3 indep4) iv(lagdepvar indep1 indep2 indep3
indep4 inst1 inst2 inst3 inst4)
where inst1-4 are a set of additional instruments. In other words,
can you have the same instruments in the gmmstyle and the ivstyle
options?? Or would the correct specification be:
xtabond2 depvar lagdepvar indep1 indep2 indep3 indep4, gmm(lagdepvar
indep1 indep2 indep3 indep4) iv(inst1 inst2 inst3 inst4)
I'm leaning towards the second option, but I would like to receive
some feedback (and clarification about the two options) to be sure.
Thanks in advance!!!
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